Published July 22, 2021
| Version v5.0
Software
Open
bashtage/arch: Release 5.0
Creators
- 1. DB Schenker
- 2. @volatility
- 3. Bonjournal
- 4. @CoinCapture
- 5. Max Planck Institute for Innovation and Competition
- 6. @github
Description
Release 5.0 contains new features and backward-incompatible changes.
Unit Root- All unit root tests are now immutable, and so properties such as
trend
cannot be set after the test is created.
- Added
seed
keyword argument to all bootstraps (e.g.,IIDBootstrap
andStationaryBootstrap
) that allows a NumPynumpy.random.Generator
to be used. Theseed
keyword argument also accepts legacynumpy.random.RandomState
instances and integers. If an integer is passed, the random number generator is constructed by callingnumpy.random.default_rng
Theseed
keyword argument replaces therandom_state
keyword argument. - The
IIDBootstrap.random_state
property has also been deprecated in favor ofIIDBootstrap.generator
. - The
IIDBootstrap.get_state
andIIDBootstrap.set_state
methods have been replaced by theIIDBootstrap.state
property.
- Added
seed
keyword argument to all distributions (e.g.,Normal
andStudentsT
) that allows a NumPynumpy.random.Generator
to be used. Theseed
keyword argument also accepts legacynumpy.random.RandomState
instances and integers. If an integer is passed, the random number generator is constructed by callingnumpy.random.default_rng
Theseed
keyword argument replaces therandom_state
keyword argument. - The
Normal.random_state
property has also been deprecated in favor ofNormal.generator
. - Added
ARCHInMean
mean process supporting (G)ARCH-in-mean models. - Extended
VolatilityProcess
withVolatilityProcess.volatility_updater
that contains aVolatilityUpdater
to allowARCHInMean
to be created from different volatility processes.
Files
bashtage/arch-v5.0.zip
Files
(2.9 MB)
Name | Size | Download all |
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md5:dcb8370c15fc1517de5d372af4f61712
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Additional details
Related works
- Is supplement to
- https://github.com/bashtage/arch/tree/v5.0 (URL)